How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.9497	1.95*
αARCH	0.1934	7.06***
βGARCH	0.8047	29.31***

γ₁	0.8336	0.85
γ₂	0.0605	0.04
γ₃	-2.0318	-1.44
γ₄	0.4989	0.38
γ₅	1.9051	1.61
γ₆	-4.2510	-4.32***
γ₇	7.1845	7.67***
γ₈	-6.5726	-7.68***
γ₉	3.7338	3.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9497	1.95*
α ARCH Response to squared shocks	0.1934	7.06***
β GARCH Volatility persistence	0.8047	29.31***

γ₁	0.8336	0.85
γ₂	0.0605	0.04
γ₃	-2.0318	-1.44
γ₄	0.4989	0.38
γ₅	1.9051	1.61
γ₆	-4.2510	-4.32***
γ₇	7.1845	7.67***
γ₈	-6.5726	-7.68***
γ₉	3.7338	3.95***

V-Lab

Cic Holdings Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cic Holdings Plc Analyses